Optimization MT

Optimization MT 2.0

OPMT is intended for the optimization of functions. It has many features, including a wide selection of descent algorithms, step-length methods, and "on-the-fly" algorithm switching. Default selections permit you to use Optimization with a minimum of programming effort. All you provide is the function to be optimized and start values, and OPMT does the rest.

Version 2.0 is easier to use than ever!

• New syntax options eliminate the need for PV and DS structures:
  • Decreasing the required code up to 25%.
  • Decreasing runtime up to 20%.
  • Simplifying usage.
• Optional dynamic arguments make it simple and transparent to add extra data arguments beyond model parameters to your objective function.
• Updated documentation and examples.
• Fully backwards compatible with OPTMT 1.0

Platform: Windows, Mac, and Linux.

Requirements: GAUSS/GAUSS Engine/GAUSS Light v16 or higher.

The code below finds the minimum of the simple function x². The objective function in this case computes the function value and/or the gradient, depending upon the value of the incoming indicator vector, ind. This makes it simple to avoid duplication of calculations which are required for the objective function and the gradient when computing more complicated functions.

//Load optmt library
library optmt;

//Objective function to be minimized
proc fct(x, ind);

    //Declare 'mm' to be a modelResults
    //struct, local to this procedure
    struct modelResults mm;

    //If the first element of the indicator vector
    //is non-zero, calculate the objective function
    if ind[1];
        //Assign the value of the objective function to the
        //'function' member of the 'modelResults' struct
        mm.function = x.^2;
     endif;

    //If the second element of the indicator vector
    //is non-zero, calculate the gradient
    if ind[2];
        //Assign the value of the objective function to the
        //'function' member of the 'modelResults' struct
        mm.gradient = 2.*x;
     endif;

     //Return the modelResults structure
     retp(mm);
endp;

// Starting parameter value
x0 = 1;

//Declare 'out' to be an optmtResults struct
//to hold the optimization results
struct optmtResults out;

//Minimize objective function
out = optmt(&fct,x0);

//Print optimtization results
optmtPrt(out);

The above code will print the simple report below. It shows that OPTMT has found the minimum of our function x² when x is equal to 0. We also see that the function value is equal to 0 which we expect and no parameter bounds were active, because the Lagrangians are an empty matrix.

=========================================
 Optmt Version 2.0.1
=========================================

Return code    =    0
Function value =    0.00000
Convergence    :    normal convergence

Parameters  Estimates   Gradient
----------------------------------------
x[1,1]      0.0000      0.0000


Number of iterations    2
Minutes to convergence     0.00000

Lagrangians
              {}